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Selection and Performance Analysis of Asia-Pacific Hedge Funds

Author

Listed:
  • Takeshi Hakamada

    (GCI Asset Management, Inc.)

  • Akihiko Takahashi

    (Faculty of Economics, University of Tokyo)

  • Kyo Yamamoto

    (Graduate School of Economics, University of Tokyo)

Abstract

This paper studies portfolio selection and performance analysis of hedge funds located or invested in Asia-Pacific. It investigates the characteristics of the funds' returns and recommends optimization methods to create a 'Fund-of-Funds'. The returns of the hedge funds are then decomposed into asset class factors. Finally, portfolio optimizations and performance analyses are integrated to show how these methods are utilized in practice.

Suggested Citation

  • Takeshi Hakamada & Akihiko Takahashi & Kyo Yamamoto, 2007. "Selection and Performance Analysis of Asia-Pacific Hedge Funds," CIRJE F-Series CIRJE-F-524, CIRJE, Faculty of Economics, University of Tokyo.
    • Handle: RePEc:tky:fseres:2007cf524
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    Cited by:

    1. Lean, Hooi Hooi & Ang, Wei Rong & Smyth, Russell, 2015. "Performance and performance persistence of socially responsible investment funds in Europe and North America," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 254-266.
    2. Peter Klein & Daryl Purdy & Isaac Schweigert & Alexander Vedrashko, 2015. "The Canadian Hedge Fund Industry: Performance and Market Timing," International Review of Finance, International Review of Finance Ltd., vol. 15(3), pages 283-320, September.
    3. Robert J. Powell & Duc H. Vo & Thach N. Pham, 2018. "Do Nonparametric Measures of Extreme Equity Risk Change the Parametric Ordinal Ranking? Evidence from Asia," Risks, MDPI, vol. 6(4), pages 1-22, October.
    4. Wei Rong Ang & Greg N Gregoriou & Hooi Hooi Lean, 2014. "Market-timing skills of socially responsible investment fund managers: The case of North America versus Europe," Journal of Asset Management, Palgrave Macmillan, vol. 15(6), pages 366-377, December.
    5. Stephanos Papadamou & Nikolaos A. Kyriazis & Lydia Mermigka, 2017. "Japanese Mutual Funds before and after the Crisis Outburst: A Style- and Performance-Analysis," IJFS, MDPI, vol. 5(1), pages 1-20, March.
    6. repec:ipg:wpaper:2014-599 is not listed on IDEAS

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